Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

CSI Liquor/ Alcoholic Drink Index Rebalance: Capping to Drive Larger Flows

CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

CSI Medical Service Index Rebalance Preview: Four Potential Changes in December

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

Gansu Huangtai Wine Mktg Ind Co., / Event-Driven

Gansu Huangtai Wine Mktg Ind Co., (000995 CH)

<ul>
<li>The review period ended on 31 October, the changes should be announced on 29 November and will be effective after the close of trading on 13 December.</li>
<li>There could be 2 adds for the CSI Liquor Index and 4 adds/ 2 deletes for the CSI Alcoholic Drink Index.</li>
<li>Some stocks could be added to both indices, increasing the flow and impact. Based on the passive assets tracking the indices, the estimated round-trip trade is CNY 3.4bn (US$477m).</li>
</ul>


The review period ended on 31 October, the changes should be announced on 29 November and will be effective after the close of trading on 13 December.
There could be 2 adds for the CSI Liquor Index and 4 adds/ 2 deletes for the CSI Alcoholic Drink Index.
Some stocks could be added to both indices, increasing the flow and impact. Based on the passive assets tracking the indices, the estimated round-trip trade is CNY 3.4bn (US$477m).


P2 P Financial Information Service (600696 CH)

Gansu Mogao Industrial Development Co (600543 CH)

Shanxi Xinghuacun Fen Wine Factory Co (600809 CH)

Shanghai Jinfeng Wine Company (600616 CH)

Lanzhou Huanghe Enterprise Co,Ltd. (000929 CH)

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Jiangsu King's Luck Brewery JS (603369 CH)

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It